IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v67y2024ipas154461232400847x.html
   My bibliography  Save this article

Picking funds in China

Author

Listed:
  • Zhang, Yu
  • Zhao, Mengxiang

Abstract

This study compiles data on actively managed mutual funds in China spanning from 2007 to 2020 to construct portfolios of superior funds using the Fund Confidence Set (FCS) algorithm. Time-varying alphas and betas are estimated using an adaptive unscented Kalman filter with maximum posterior and random weighting rather than the extended Kalman filter. Moreover, an exponential smoother is integrated into the FCS algorithm, leading to improvements in portfolios’ performance. These two modifications to the FCS algorithm further enhance the performance of superior fund portfolios, producing an average monthly excess return of up to 1.88 %.

Suggested Citation

  • Zhang, Yu & Zhao, Mengxiang, 2024. "Picking funds in China," Finance Research Letters, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s154461232400847x
    DOI: 10.1016/j.frl.2024.105817
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S154461232400847X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2024.105817?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Fund portfolio; Four-factor model; Fund confidence set; Kalman filter;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:67:y:2024:i:pa:s154461232400847x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.